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Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures by G. Gregoriou

Financial Econometrics Modeling: Market Microstructure, Factor Models and Financial Risk Measures

G. Gregoriou
371 pages
Palgrave Macmillan
Dec 2010
2011th Edition
Business & Investing WSBN
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This book proposes new methods to build optimal portfolios and to analyze market liquidity and volatility under market microstructure effects, as well as new financial risk measures using parametric and non-parametric techniques. In particular, it investigates the market microstructure of foreign exchange and futures markets.
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About this book
Pages 371
Publisher Palgrave Macmillan
Published 2010
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